Subadditivity Re–Examined: the Case for Value-at-Risk
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- Danielsson, Jon & Jorgensen, Bjørn N. & Mandira, Sarma & Samorodnitsky, Gennady & Vries, C. G. de, 2005. "Subadditivity re–examined: the case for value-at-risk," LSE Research Online Documents on Economics 24668, London School of Economics and Political Science, LSE Library.
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JEL classification:
- G00 - Financial Economics - - General - - - General
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2005-12-09 (Risk Management)
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